The first half ended on a sour note for hedge funds, according to Hedge Fund Research.

The average hedge fund lost 1.22% last month, according to the HFRI Fund Weighted Composite Index. While that's less than the Standard & Poor's 500 Index lost on the month, the broader markets returned 6.01% in the first half, compared to just 0.76% for hedge funds.

Losses last month were broad-based and sent three strategy indices into the red for the year to date. Macro funds were hardest-hit of the main strategies, falling 1.76% in June (down 2.16% year-to-date). Equity hedge funds lost 1.2% on the month (up 1.08% YTD), emerging markets funds lost 1.12% (down 0.27% YTD), event-driven funds lost 1.09% (up 2.87% YTD) and relative value funds lost 0.12% (up 3.16% YTD).